Nikolaus Hautsch, Lada M. Kyj, and Roel C. A. Oomen, "A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation", Journal of Applied Econometrics, Vol. 27, No. 4, 2012, pp. 625-645. The raw data used in this paper are confidential. However, the empirical results can be replicated using the blocked covariance matrices provided. The data used in the article are from the Trade and Quote (TAQ) database of the New York Stock Exchange. TAQ is a collection of intraday trades and quotes for all securities listed on the New York Stock Exchange, American Stock Exchange, Nasdaq National Market System, and SmallCap issues. This study considers a subset of 490 stocks from the S&P 500 index. The stock symbols are listed in the file symbols.txt. The sample period examined in this study is from January 1, 2007 to April, 2009. Blocked covariance matrices are estimated from raw datasets which are mid-quote prices sampled at 1 second increments from 9:45 EST to 16:00 EST. The data filtering procedure is discussed in section 5.1 of the paper. The estimated covariance matrices are in four files called Blockedx.txt, where x corresponds to the number of equal sized clusters used (1, 2, 4, and 8). These files contain 120295 by 547 matrices, where the rows correspond to covariance elements in vech format, and the columns correspond to the number of trading days. Column headings identify the trading days. Since the four Blockedx.txt files are extremely large, they have been compressed using 7zip instead of zip or pkzip. Using 7zip results in substantially smaller compressed files. This program is freely available for many versions of Windows at http://www.7-zip.org/ Command-line versions for many versions of Linux are also available. On Debian and Ubuntu systems, they may be found in the package p7zip-full. Each of the files Blockedx.txt is in DOS format and is 7zipped in the file blockedx.7z. Please address any questions to: Lada M. Kyj, Ph.D. Barclays Capital Inc. New York Branch ladakyj [AT] gmail.com